i've been getting the same warning. there is one of two possibilities in my case. one being that the database being backed up is not set to full recovery mode and the other that the "master" database is not being backed up per microsoft's explicit instructions.

you can find which ones are failing from the backup logs -- don't know the correct path off the top of my head right now. but it will give you a line like "could not process database _____. skipped this step". if there is any name besides "master" there, open up the sql enterprise manager, go to databases, right click the offending database and go to the options tab. if it's set to "simple" then that's probably your problem.